Bid-ask spreads and the avoidance of odd-eighth quotes on nasdaq: An examination of exchange listings

Journal of Financial Economics

Volumn 45, Issue 1, 1997, Pages 35-60

  Barclay, Michael J ^a  

^a UNIVERSITY OF ROCHESTER   (United States)

Author keywords

Exchange listing; Microstructure; Spreads

Indexed keywords

EID: 0031185113     PISSN: 0304405X     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-405X(97)00010-X     Document Type: Article

References (13)

1. Christie, W.G., Huang, R.D., 1994. Market structures and liquidity: a transactions data study of exchange listings. Journal of Financial Intermediation 3, 300-326.
2. Christie, W.G., Harris, J.H., Schultz, P., 1994. Why do Nasdaq market makers stop avoiding odd-eighth quotes? Journal of Finance 49, 1841-1860.
3. Christie, W.G., Schultz, P., 1994. Why do Nasdaq market makers avoid odd-eighth quotes? Journal of Finance 49, 1813-1840.
4. Clyde, P., Schultz, P., Zaman, M., 1996. Trading costs and exchange delisting: the case of firms that voluntarily move from the American Stock Exchange to the Nasdaq. Unpublished working paper, The Ohio State University, Columbus, OH.
5. Demsetz, H., 1997. Limit orders and the alleged Nasdaq collusion. Journal of Financial Economics 45, 91-95 (this issue).
6. Godek, P., 1996. Why Nasdaq market makers avoid odd-eighth quotes. Journal of Financial Economics 41, 465-474.
7. Grossman, S.J., Miller, M.H., Fischel, D.R., Cone, K.R., Ross, D.J., 1995. Clustering and competition in asset markets. Unpublished working paper, Lexecon Inc., Chicago, IL.
8. Huang, R.D., Stoll, H.R., 1996. Dealer vs. auction markets: a paired comparison of execution costs on Nasdaq and the NYSE. Journal of Financial Economics 41, 313-357.
9. Kandel, E., Marx, L.M., 1996. Nasdaq market structure and spread patterns. Journal of Financial Economics 45, 61-89 (this issue).
10. Kothare, M., Laux, P., 1995. Trading costs and the trading system for Nasdaq stocks. Financial Analysts Journal 51, 42-53.
11. Kleidon, A.W., Willig, R.D., 1995. Why do Christie and Schultz infer collusion from their data? Unpublished working paper, Cornerstone Research, Menlo Park, CA.
12. Stoll, H.R., 1995. The importance of equity trading costs, evidence from securities firms' revenues. In: R. Schwartz (Ed.), Global Equity Markets: Technological, Competitive and Regulatory Challenges. Irwin Professional Publishing, Chicago, IL.
13. US Securities and Exchange Commission, August 1996. Report pursuant to section 21(a) of the securities and exchange act of 1934 regarding the NASD and the Nasdaq Market. US Securities and Exchange Commission, Washington, D.C.